Correlation Analysis Between MFS Value and Vanguard Index

Analyzing existing cross correlation between MFS Value Fund Share Class 52 and Vanguard Index Trust Vanguard V. You can compare the effects of market volatilities on MFS Value and Vanguard Index and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in MFS Value with a short position of Vanguard Index. See also your portfolio center. Please also check ongoing floating volatility patterns of MFS Value and Vanguard Index.
Horizon     30 Days    Login   to change
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Comparative Performance

MFS Value Fund  
1111

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MFS Value Fund Share Class 52 are ranked lower than 11 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly strong basic indicators, MFS Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.
Vanguard Index Trust  
1515

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Index Trust Vanguard V are ranked lower than 15 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly weak basic indicators, Vanguard Index may actually be approaching a critical reversion point that can send shares even higher in February 2020.

MFS Value and Vanguard Index Volatility Contrast

 Predicted Return Density 
    
  Returns 

MFS Value Fund Share Class 52  vs.  Vanguard Index Trust Vanguard

 Performance (%) 
    
  Timeline 

Pair Volatility

Assuming 30 trading days horizon, MFS Value is expected to generate 1.3 times less return on investment than Vanguard Index. In addition to that, MFS Value is 1.05 times more volatile than Vanguard Index Trust Vanguard V. It trades about 0.17 of its total potential returns per unit of risk. Vanguard Index Trust Vanguard V is currently generating about 0.23 per unit of volatility. If you would invest  4,384  in Vanguard Index Trust Vanguard V on December 18, 2019 and sell it today you would earn a total of  344.00  from holding Vanguard Index Trust Vanguard V or generate 7.85% return on investment over 30 days.

Pair Corralation between MFS Value and Vanguard Index

0.96
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy98.44%
ValuesDaily Returns

Diversification Opportunities for MFS Value and Vanguard Index

MFS Value Fund Share Class 52 diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding MFS Value Fund Share Class 52 and Vanguard Index Trust Vanguard in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Index Trust and MFS Value is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on MFS Value Fund Share Class 52 are associated (or correlated) with Vanguard Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Index Trust has no effect on the direction of MFS Value i.e. MFS Value and Vanguard Index go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.